Temporal Aggregation and the Asymptotic Variance of Optimal Estimators in Cointegrated Systems PDF Download
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Author: Marcus J. Chambers
Publisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 29
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Book Description
Author: Marcus J. Chambers
Publisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 29
Get Book Here
Book Description
Author: Marcus J. Chambers
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Marcus J. Chambers
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 35
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Book Description
Author: P. C. B. Phillips
Publisher:
ISBN:
Category :
Languages : en
Pages : 88
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Book Description
Author: Helmut Lütkepohl
Publisher: Springer Science & Business Media
ISBN: 3540277528
Category : Business & Economics
Languages : en
Pages : 765
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Book Description
This is the new and totally revised edition of Lütkepohl’s classic 1991 work. It provides a detailed introduction to the main steps of analyzing multiple time series, model specification, estimation, model checking, and for using the models for economic analysis and forecasting. The book now includes new chapters on cointegration analysis, structural vector autoregressions, cointegrated VARMA processes and multivariate ARCH models. The book bridges the gap to the difficult technical literature on the topic. It is accessible to graduate students in business and economics. In addition, multiple time series courses in other fields such as statistics and engineering may be based on it.
Author:
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 946
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Author:
Publisher:
ISBN:
Category : Classification
Languages : en
Pages : 916
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Book Description
Author: Massimiliano Marcellino
Publisher:
ISBN:
Category : Automatic data collection systems
Languages : en
Pages : 44
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Book Description
Author: Kent Dell Wall
Publisher:
ISBN:
Category :
Languages : en
Pages : 274
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Book Description
Author: Anders Milhøj
Publisher:
ISBN:
Category :
Languages : en
Pages : 36
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Book Description
We study aggregation - or sample frequencies - of time series, e.g. aggregation from weekly to monthly or quarterly time series. Aggregation usually gives shorter time series but spurious phenomena, in e.g. daily observations, can on the other hand be avoided. An important issue is the effect of aggregation on the adjustment coefficient in cointegrated systems. We study only first order vector autoregressive processes for n dimensional time series Xt, and we illustrate the theory by a two dimensional and a four dimensional model for prices of various grades of gasoline.
